ProShares UltraShort Risk Analysis

ProShares UltraShort Bloomberg Natrl Gas -- USA Etf  

USD 35.73  1.22  3.54%

Macroaxis considers ProShares UltraShort not very risky given 1 month investment horizon. ProShares UltraShort maintains Sharpe Ratio (i.e. Efficiency) of 0.2843 which implies ProShares UltraShort had 0.2843% of return per unit of risk over the last 1 month. Our philosophy towards forecasting volatility of a etf is to use all available market data together with company specific technical indicators that cannot be diversified away. By analyzing ProShares UltraShort technical indicators you can presently evaluate if the expected return of 0.8386% is justified by implied risk. Please employ ProShares UltraShort Coefficient Of Variation of 773.19, Semi Deviation of 3.27 and Risk Adjusted Performance of 0.0391 to confirm if our risk estimates are consistent with your expectations.
Investment Horizon     30 Days    Login   to change

ProShares UltraShort Market Sensitivity

As returns on market increase, returns on owning ProShares UltraShort are expected to decrease by larger amounts. On the other hand, during market turmoil, ProShares UltraShort is expected to significantly outperform it.
One Month Beta |Analyze ProShares UltraShort Demand Trend
Check current 30 days ProShares UltraShort correlation with market (DOW)
β = -2.1051
ProShares UltraShort Large Negative BetaProShares UltraShort Beta Legend

Projected Return Density Against Market

Given the investment horizon of 30 days, ProShares UltraShort Bloomberg Natrl Gas has beta of -2.1051 indicating as returns on its benchmark rise, returns on holding ProShares UltraShort Bloomberg Natrl Gas are expected to decrease by similarly larger amounts. On the other hand, during market turmoils, ProShares UltraShort is expected to outperform its benchmark. Moreover, ProShares UltraShort Bloomberg Natrl Gas has an alpha of 0.6829 implying that it can potentially generate 0.6829% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Given the investment horizon of 30 days, the coefficient of variation of ProShares UltraShort is 351.77. The daily returns are destributed with a variance of 8.7 and standard deviation of 2.95. The mean deviation of ProShares UltraShort Bloomberg Natrl Gas is currently at 2.25. For similar time horizon, the selected benchmark (DOW) has volatility of 0.23
α
Alpha over DOW
= 0.68 
βBeta against DOW=(2.11) 
σ
Overall volatility
= 2.95 
 IrInformation ratio = 0.0868 

Actual Return Volatility

ProShares UltraShort Bloomberg Natrl Gas inherits 2.9499% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 0.2291% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

ProShares UltraShort Volatility Factors

30 Days Market Risk

Not very risky

Chance of Distress in 24 months

30 Days Economic Sensitivity

Completely opposite to market

Largest Trends

ProShares UltraShort Largest Period Trend

Investment Outlook

ProShares UltraShort Investment Opportunity
ProShares UltraShort Bloomberg Natrl Gas has a volatility of 2.95 and is 12.83 times more volatile than DOW. 28% of all equities and portfolios are less risky than ProShares UltraShort. Compared to the overall equity markets, volatility of historical daily returns of ProShares UltraShort Bloomberg Natrl Gas is lower than 28 (%) of all global equities and portfolios over the last 30 days. Use ProShares UltraShort Bloomberg Natrl Gas to enhance returns of your portfolios. The etf experiences unexpected upward trend. Watch out for market signals. Check odds of ProShares UltraShort to be traded at $42.88 in 30 days. As returns on market increase, returns on owning ProShares UltraShort are expected to decrease by larger amounts. On the other hand, during market turmoil, ProShares UltraShort is expected to significantly outperform it.

ProShares UltraShort correlation with market

Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding ProShares UltraShort Bloomberg and equity matching DJI index in the same portfolio.

Volatility Indicators

ProShares UltraShort Current Risk Indicators